"If there is a federal warrant out for the arrest for a violent crime, that we fully participate with federal immigration officials to make sure that those individuals are removed from our streets and that they are brought to justice," Gonzales told Fox News on Wednesday. "But anyone who is living in our country peacefully -- we don't ask for papers when we stop someone on the street."

Gonzales appeared on host Martha MacCallum's Fox News program. KOB noted a misspelling of Santa Fe as "Sante Fe" in the network's graphic during Gonzales's interview. The mayor told MacCallum he will defy the DOJ order.

"What was in that letter was meant for every one of us in local office that has stood by policies that protect families and refuse to become enforcement agents of federal laws," Gonzales said in a phone interview with KOB on Thursday.

Gonzales tells KOB the threat to remove federal dollars from New Mexico cities is an empty one.

"There is no federal law that would allow for them to compel us to change our policies," he said. "This is meant to be an intimidation tactic, it's meant to bully and compel local governments to enforce some of this racist rhetoric."

He said local law enforcement will continue to help arrest criminals with known federal warrants, but he won't terrorize families.

"We will not use local resources that are meant to protect our communities from violent criminals to go out and disrupt these families just because [Attorney General] Jeff Sessions, or [senior adviser] Stephen Miller or [President] Donald Trump have decided it's politically expedient for them to do so," he said.

There is no legal definition for the term "sanctuary city," but it describes cities which offer some level of protection to undocumented immigrants. According to New Mexico policy organization Somos Un Pueblo Unido, the jurisdictions below could currently be considered "sanctuary jurisdictions."